Theme options pages have become increasingly popular in WordPress themes in the past year. There are numerous tutorials that will teach you how to create that page, but not that many of them that explain you how to do it the right way, using the WordPress settings API.
Chip Bennett, member of the theme review team, has put together a great complete team on the best practices and the proper way to create such page, from backend to frontend.
If you want to create WordPress theme options pages, this is a must-read:
Incorporating the Settings API in WordPress Themes » cb.blog.